Not much has been shown about the interaction between Larxene and Xion. At one point, Roxas mentioned the fact that he was the only one who could collect hearts to Larxene while she was training him. However, she mentioned that he was not the only one. When Roxas asked who else there was, she replied that it was "none of his beeswax" and refused to tell. It was later revealed that she was talking about Xion.
Larxion has a small amount of popularity in the Kingdom Hearts fandom. Yuri in Organization XIII is almost non-existent because there are only two female members and Larxion is the only possible yuri ship. It is for this reason that some fans ship them together. Fanfiction.net has a small amount of fanon involving these two together but it is still not very popular.
- Xion already seemed to be proficient in magic by the time that she started doing missions with Roxas. Since Larxene is the one who taught him about magic, it is likely that she also taught Xion.